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Time Series with Stochastic Volatility

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Statistics of Financial Markets

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Abstract

In the previous chapters we have already discussed that volatility plays an important role in modelling financial systems and time series. Unlike the term structure, volatility is unobservable and thus must be estimated from the data.

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Authors and Affiliations

  1. FB Mathematik, TU Kaiserslautern, Erwin-Schrödinger-Str. Gebäude 48, 67663, Kaiserslautern, Germany

    Prof. Dr. Jürgen Franke

  2. Ladislaus von Bortkiewicz Chair of Statistics C.A.S.E. Centre for Applied Statistics and Economics School of Business and Economics, Humboldt-Universität zu Berlin, Unter den Linden 6, 10099, Berlin, Germany

    Prof. Dr. Wolfgang Karl Härdle

  3. Graduate Institute of Statistics, National Central University, Jhongli, Taiwan

    Prof. Dr. Wolfgang Karl Härdle

  4. Inst. Statistique, Université Catholique de Louvain, Voie du Roman Pays 20, 1348, Leuven-la-Neuve, Belgium

    Prof. Dr. Christian Matthias Hafner

Authors
  1. Prof. Dr. Jürgen Franke
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  2. Prof. Dr. Wolfgang Karl Härdle
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  3. Prof. Dr. Christian Matthias Hafner
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Corresponding author

Correspondence to Jürgen Franke .

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© 2011 Springer-Verlag Berlin Heidelberg

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Franke, J., Härdle, W.K., Hafner, C.M. (2011). Time Series with Stochastic Volatility. In: Statistics of Financial Markets. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-16521-4_13

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